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Vorbrink, Jörg: American options with multiple priors in continuous time. In: . Jg.448. 2011, S. 36 ff.
Inhalt
Introduction
The setting
The ambiguity model -ignorance
The financial market under -ignorance
American options under ambiguity aversion
A detour: reflected backward stochastic differential equations
Options with monotone payoffs
Exotic options
American up-and-in put option
Shout option
Conclusion
Proof of Theorem 3.3.3
Proof of Theorem 3.4.1
